A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations
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Publication:5079900
DOI10.1080/03610926.2020.1768405OpenAlexW3028362662MaRDI QIDQ5079900
Calisto Guambe, Rodwell Kufakunesu, Lesedi Mabitsela
Publication date: 30 May 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1808.04611
dynamic risk measuredynamic entropic risk measuredynamic risk capital allocationquadratic-exponential BSDE
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